There Was Some Shady Trading Going On Ahead Of Today's Consumer Confidence Data

But a quarter of a second before the number was out and euphoria
set in, there was some shady trading going on in the SPDR S&P
Sector ETF (SPY), the e-Mini (electronically traded futures), and
in hundreds of stocks, according to Nanex, a market
research firm.

On May 28, 2013, about 1/4 second before the expected release of
the Consumer Confidence number, trading exploded in SPY, the eM
ini and hundreds of other stocks. Even more interesting, activity
exploded just 1 millisecond earlier in the futures (traded in
Chicago) than stocks (traded in NYC). The speed of light
separates information between Chicago and NYC by at least 4 or 5
milliseconds. Which means this was more likely the result of a
timed trading in both futures and stocks, rather than a arbitrage
reaction between the two.

We found no other instances of early trading in the 11 previous
monthly releases of the same Consumer Confidence data,

Nanex ultimately concluded that this was most likely a case of
"banging the beehive" rather than someone having inside
information, but that's really no reason to feel relieved.

"Banging the Beehive" is a term that traders use to describe what
happens when a high frequency trader sends out a barrage of
orders before right before a key event (like a report). This
impacts price, and forces those who've already put their orders
out to put out new orders to adjust. All of this creates
volatility, which high frequency traders love.

The problem is that other traders don't love it. In fact, there's
been so much "banging the beehive" before the weekly Natural Gas Storage Report
that traders have been exiting the trade entirely.